Allocation of Long and Short positions?

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Allocation of Long and Short positions?

posted Sep 13, 2015

Seeking Help Asset Allocation

Apparently my approach to this is all wrong. My goal is automatically adjust the percentage of my portfolio which is long and the percentage which is short. It appears to be working on the long side, but not for shorts.

For example, lets say I would like to allocate 70% of my portfolio for a long position in the SPY, and the remaining 30% for a short position. This is my attempt..

    target_value_amnt_long = .70  
    target_value_amnt_short = .30  
    if target_value_amnt_short > target_value_amnt_long:  
        order_target_percent(context.stock, -target_value_amnt_short)  
    if target_value_amnt_long > target_value_amnt_short:  
        order_target_percent(context.stock, target_value_amnt_long)

This is after a 50-50 allocation starting out

        order_target_percent(context.stock, .5)  
        order_target_percent(context.stock, -.5)

2 responses

Your code is setting two static variables, and then your if statements are comparing the two static variables. The first if statement is always false, and the second if is always true.

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Sorry, that's just for example. The variables are actually dynamic in the algo

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.